Dynamic programming for a Markov-switching jump-diffusion
From MaRDI portal
Publication:396027
DOI10.1016/j.cam.2014.01.021zbMath1293.49055OpenAlexW2082750899MaRDI QIDQ396027
Gerhard-Wilhelm Weber, Diogo Pinheiro, N. Monteiro Azevedo
Publication date: 8 August 2014
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2014.01.021
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (20)
Stochastic linear quadratic control problem of switching systems with constraints ⋮ Systems theory and analysis of the implementation of non pharmaceutical policies for the mitigation of the COVID-19 pandemic ⋮ Optimal life-insurance selection and purchase within a market of several life-insurance providers ⋮ Continuous time mean–variance–utility portfolio problem and its equilibrium strategy ⋮ Robust optimal R&D investment under technical uncertainty in a regime-switching environment ⋮ Dynamic programming for semi-Markov modulated SDEs ⋮ Value functions in a regime switching jump diffusion with delay market model ⋮ Stochastic control with inhomogeneous regime switching: application to consumption and investment with unemployment and reemployment ⋮ Approaching towards sustainable supply chain under the spotlight of business intelligence ⋮ A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes ⋮ Optimal consumption, investment and life-insurance purchase under a stochastically fluctuating economy ⋮ A variational formula for nonzero-sum stochastic differential games of FBSDEs and applications ⋮ Determining the optimal strategies for discrete control problems on stochastic networks with discounted costs ⋮ A non-exponential discounting time-inconsistent stochastic optimal control problem for jump-diffusion ⋮ Loop-based conic multivariate adaptive regression splines is a novel method for advanced construction of complex biological networks ⋮ Dynamic programming principle for stochastic control problems driven by general Lévy noise ⋮ Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model ⋮ Profit optimization for cattle growing in a randomly fluctuating environment ⋮ Stochastic optimal control on impulse dividend model with stochastic returns ⋮ A STOCHASTIC CONTROL APPROACH TO BID-ASK PRICE MODELLING
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Option pricing and Esscher transform under regime switching
- Applied stochastic control of jump diffusions.
- Nearly-optimal asset allocation in hybrid stock investment models.
- Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
- On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
- Optimal control of stochastic hybrid system with jumps: a numerical approximation
- Controlled Markov processes and viscosity solutions
- A new image thresholding method based on Gaussian mixture model
- Stock Trading: An Optimal Selling Rule
- Dynamic programming and stochastic control processes
- Lévy Processes and Stochastic Calculus
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Risk Aversion in the Small and in the Large
- Advances in Neural Networks – ISNN 2005
- On the Theory of Dynamic Programming
- DYNAMIC PROGRAMMING AND A NEW FORMALISM IN THE CALCULUS OF VARIATIONS
- Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
This page was built for publication: Dynamic programming for a Markov-switching jump-diffusion
